This paper examines the effects of financial crises on the long memory volatility dependency of daily exchange returns focusing on the Asian crisis in 97-98 and the Global crisis in 08-09. By using the daily KRW-USD and JPY-USD exchange rates which have different trading regions and volumes,...

This paper examines the effects of financial crises on the long memory volatility dependency of daily exchange returns focusing on the Asian crisis in 97-98 and the Global crisis in 08-09. By using the daily KRW-USD and JPY-USD exchange rates which have different trading regions and volumes,...

This paper investigates the potential impacts of the degree of divergence in open macroeconomic policies in the context of the trilemma hypothesis. Using an index that measures the extent of policy divergence among the three trilemma policy choices — monetary independence, exchange rate...

We analyse the volatility structure of Asian currencies against the U.S. dollar (USD) for the Thai Baht THB, the Philippine Peso PHP, the Indonesian Rupiah IDR and the South Korean Won KRW. Our goal is to check if the characteristics of the volatility dynamics have changed in a K-state switching...

Comovements of exchange rates before and during Asian financialcrisis are examined using cross-spectral methodology. The paper proposes and implements a simple frequency-domain-based test for contagion that avoids biases of the correlation breakdown tests used in the extant literature. The Asian...

Purpose: The purpose of this paper is to answer the following question: How did the standard and non-standard ECB policy measures influence the price level and the EUR/USD rate of exchange in the period 2008-2013? Design/methodology/approach: We formulated the following hypothesis: Depreciation...

Purpose: The purpose of this paper is to answer the following question: How did the standard and non-standard ECB policy measures influence the price level and the EUR/USD rate of exchange in the period 2008-2013? Design/methodology/approach: We formulated the following hypothesis: Depreciation...

This study aims to compare two different methodologies of calculating exchange rate misalignment and test whether there is interdependence among countries in determining the real effective exchange rate. Two different econometric approaches are used to achieve these goals. The first one involves...

The problem is to evaluate the likelihood that a country will face a currency or balance of payments crisis over a given horizon. When is it rational for market participants to expect a depreciation of the currency? On the basis of considerable empirical studies we know that in both banking and...